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Luis A. Gil-Alana
''Fractional cointegration in the consumption and income relationship using semiparametric techniques''
( 2004, Vol. 3 No.47 )
This paper deals with the issue of the Permanent Income Hypothesis (PIH) and we show that consumption and income may be fractionally cointegrated. We use a semiparametric frequency domain procedure of Robinson (1995a), and the results show that the UK and the Japanese consumption and income are related in the long run throughout a fractional model.
Keywords: Fractional cointegration
JEL: C2 - Single Equation Models; Single Variables: General
C5 - Econometric Modeling: General
Manuscript Received : Dec 10 2004 Manuscript Accepted : Dec 13 2004

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